Same for me. I’ve been burned by this in previous years too. I’ve wasted a lot of time trying to see if there’s a workaround which it looks like there’s not. The last backup I have is from going through this process last year.
My old phone thinks it’s still paired to the watch but the watch doesn’t report that it’s connected. In Bluetooth on the old phone the Watch connection is still there and says connected.
I’d reset it but I’d love to be able to back it up first.
If only the watch backed itself up to the watch app or iCloud when it was charging.
Meh.